An Application of Principal Component Analysis to Stock Portfolio Management
| dc.contributor.author | Yang, Libin | |
| dc.date.accessioned | 2015-04-10T01:22:08Z | |
| dc.date.available | 2015-04-10T01:22:08Z | |
| dc.date.issued | 2015 | en |
| dc.description.abstract | This thesis investigates the application of principal component analysis to the Australian stock market using ASX200 index and its constituents from April 2000 to February 2014. The first ten principal components were retained to present the major risk sources in the stock market. We constructed portfolio based on each of the ten principal components and named these “principal portfolios | en |
| dc.identifier.uri | http://hdl.handle.net/10092/10293 | |
| dc.identifier.uri | http://dx.doi.org/10.26021/5235 | |
| dc.language.iso | en | |
| dc.publisher | University of Canterbury. Department of economics and finance | en |
| dc.relation.isreferencedby | NZCU | en |
| dc.rights | Copyright Joy Yang | en |
| dc.rights.uri | https://canterbury.libguides.com/rights/theses | en |
| dc.subject | Principal component analysis (PCA) | en |
| dc.subject | stock selection | en |
| dc.subject | diversification | en |
| dc.subject | portfolio management | en |
| dc.subject | systemic risk | en |
| dc.title | An Application of Principal Component Analysis to Stock Portfolio Management | en |
| dc.type | Theses / Dissertations | |
| thesis.degree.discipline | Economics | |
| thesis.degree.grantor | University of Canterbury | en |
| thesis.degree.level | Masters | en |
| thesis.degree.name | Master of Commerce | en |
| uc.bibnumber | 2043973 | |
| uc.college | UC Business School | en |